the server needs to set a memory cookie that will NOT be stored on the harddisk of your machine.
this cookie is needed to track your navigation through the store and expires after your current browser session.
it is essentially your "identification card" for this session and cannot be executed as code or deliver viruses. It is uniquely yours and can only be read by the server that gave it to you.

you have either told your browser not to accept cookies at all or refused to accept the cookie request for XMI_SESSION.